Concepedia

Daniel Ocone

DO

18

Publications

1.2K

Citations

15

H-Index

1979

Active since

Affiliations

Rutgers, The State University of New Jersey(Current)

Columbia University

Massachusetts Institute of Technology

Daniel Ocone is an author at Rutgers, The State University of New Jersey specializing in engineering, stochastic calculus, and stochastic analysis.

Top concepts

EngineeringStochastic CalculusProbabilityStochastic AnalysisSignal ProcessingApproximation TheoryStochastic Differential EquationsInverse ProblemsFunctional AnalysisNonlinear Filtering

Publications per year

1979–2004

18

Publications

18

A generalized clark representation formula, with application to optimal portfolios

Daniel Ocone, Ioannis Karatzas · Stochastics and stochastics reports · 1991 · 277 citations

Mathematical Programming, Portfolio Optimization, Engineering +15

Malliavin's calculus and stochastic integral representations of functional of diffusion processes<sup>†</sup>

Daniel Ocone · Stochastics · 1984 · 155 citations

Engineering, Stochastic Integral Representations, Diffusion Processes +13

Unique Characterization of Conditional Distributions in Nonlinear Filtering

Thomas G. Kurtz, Daniel Ocone · The Annals of Probability · 1988 · 137 citations · Full text

Nonlinear Filtering, Engineering, Unique Characterization +17

Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition

Daniel Ocone, Étienne Pardoux · SIAM Journal on Control and Optimization · 1996 · 123 citations

State Estimation, Nonlinear Filtering, Optimal Filter +12

An extension of clark' formula

Ioannis Karatzas, Daniel Ocone, Jinlu Li · Stochastics and stochastics reports · 1991 · 72 citations

Dirichlet Form, Engineering, Representation Theory +11

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